I did a GMM system estiamtion as well as a Fama MacBeth (with the add in). I analyse the classical asset pricing theory having 25 portfolios with with 600 monthly obserations each, which I regress on three independent variables and a constant.

Now, I would like to test for autocorrelation, heteroscedasticity and endogeneity in the data to see which procedure is more appropriate. The results are very different as different variables are significant.

Fama MacBeth:autocorrelation: durbin watson test given by standard output: 2.158 Question: Are the residals from the regression to estimate beta safed in resid (is this the last regression in the programm). Then I would use them to regress the residuals and the sqaured residuals on the independent variables to test for heteroscedasticity and endogeneity.

GMM (time series (HAC))Hansen J test rejects the model (.12 with 600 oservations). I used a barlett kernel bandwidth fixed nw, which should already be consistent in the presence of both heteroskedasticity and autocorrelation.

Question: What does it indicate that the results vastly different in terms of coefficients and t-tests, considering that both models should be consistent in the presence of both heteroskedasticity and autocorrelation.